Short term momentum and contrarian profits on the Bucharest Stock Exchange before and during the global crisis

This paper explores the opportunities of momentum and contrarian profits on the Bucharest Stock Exchange during quiet and turbulent times. In our investigation we employ daily values of the main indexes from the Bucharest Stock Exchange for two periods of time. During the first period, from January 2005 to September 2008, the Romanian capital market was relatively quiet and it experienced an ascendant trend. In the second period, from September 2008 to March 2012, the global crisis induced significant turbulence on the financial markets. We analyze the opportunities of momentum and contrarian profits based on the reactions to positive and negative shocks of the indexes returns. We find that global crises induced significant changes on the investors’ behavior.